EconPapers    
Economics at your fingertips  
 

Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities

Mardi Dungey (), Gerald Dwyer () and Thomas Flavin ()

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: The misevaluation of risk in securitized financial products is central to understanding the Financial Crisis of 2007-2008. This paper characterizes the evolution of factors affecting collateralized debt obligations (CDOs) based on subprime mortgages. A key feature of subprime-mortgage backed indices is that they are distinct in their vintage of issuance. Using a latent factor framework that incorporates this vintage effect, we show the increasing importance of a common factor on more senior tranches during the crisis. We examine this common factor and its relationship with spreads. We estimate the effects on the common factor of the financial crisis.

JEL-codes: G12 G01 C32 (search for similar items in EconPapers)
Date: 2011-09
References: Add references at CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://cama.crawford.anu.edu.au/sites/default/fil ... wyer_flavin_2011.pdf (application/pdf)

Related works:
Journal Article: Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities (2013) Downloads
Working Paper: Systematic and liquidity risk in subprime-mortgage backed securities (2011) Downloads
Working Paper: Systematic and Liquidity Risk in Subprime-Mortgage Backed SecuritiesM (2011) Downloads
Working Paper: Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities (2011) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2011-30

Access Statistics for this paper

More papers in CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Contact information at EDIRC.
Series data maintained by Cama Admin ().

 
Page updated 2017-11-22
Handle: RePEc:een:camaaa:2011-30